THE PRICING OF QUANTO OPTIONS UNDER THE VASICEK'S SHORT RATE MODEL

DOI10.4134/CKMS.2016.31.2.415zbMath1339.91119MaRDI QIDQ2808607

Youngrok Lee, Jaesung Lee

Publication date: 24 May 2016

Published in: Communications of the Korean Mathematical Society (Search for Journal in Brave)

zbMATH Keywords

stochastic interest rateclosed-form expressionquanto optionVasicek's model

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

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